Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0288 |
| Annualized Std Dev | 0.4203 |
| Annualized Sharpe (Rf=0%) | -0.0686 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3497.0000 |
| NAs | 1.0000 |
| Minimum | -0.2232 |
| Quartile 1 | -0.0111 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0122 |
| Maximum | 0.2295 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0006 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0007 |
| Stdev | 0.0265 |
| Skewness | -0.0788 |
| Kurtosis | 12.2081 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0191 |
| Gain Deviation | 0.0195 |
| Loss Deviation | 0.0210 |
| Downside Deviation (MAR=210%) | 0.0232 |
| Downside Deviation (Rf=0%) | 0.0190 |
| Downside Deviation (0%) | 0.0190 |
| Maximum Drawdown | 0.8206 |
| Historical VaR (95%) | -0.0361 |
| Historical ES (95%) | -0.0642 |
| Modified VaR (95%) | -0.0374 |
| Modified ES (95%) | -0.0419 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-20 | 2009-01-20 | NA | -0.8206 | 3232 | 169 | NA |
| 2007-12-26 | 2008-02-08 | 2008-05-09 | -0.1989 | 94 | 31 | 63 |
| 2007-07-16 | 2007-08-16 | 2007-09-21 | -0.1461 | 49 | 24 | 25 |
| 2007-12-11 | 2007-12-17 | 2007-12-24 | -0.0846 | 10 | 5 | 5 |
| 2007-11-07 | 2007-11-21 | 2007-12-05 | -0.0839 | 20 | 11 | 9 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | 0.9 | 3.2 | -0.1 | -0.4 | 3 | 2.1 | -2.8 | 0.4 | -0.6 | 5.7 |
| 2008 | 2.4 | -2.5 | 3.8 | 1.7 | 1.7 | -2.2 | -1.5 | -0.5 | -3.4 | 0 | -13.9 | 0.4 | -14.4 |
| 2009 | -1.8 | 0.3 | 4.4 | 2.6 | 7.5 | 2.3 | 2.3 | -2.9 | -2.2 | -6.2 | 3.7 | 1.4 | 11.1 |
| 2010 | 3.2 | 2.4 | 2.4 | -2 | -2.3 | -1.4 | -0.8 | 3.4 | 2.2 | 0.6 | 2.9 | -0.3 | 10.5 |
| 2011 | 3.3 | -1.3 | 2.2 | 0.8 | -2.4 | 1.4 | 0.4 | -0.4 | -6.5 | -4.3 | -1.3 | 1.6 | -6.9 |
| 2012 | 3 | 1.2 | 0.7 | 0.3 | -2.9 | 5.5 | 0.1 | 0.6 | 1.8 | 0.9 | 1.2 | 1.7 | 14.7 |
| 2013 | 0.7 | -0.1 | -1.2 | -1.8 | -4.2 | 0.5 | 1.9 | -0.1 | 2.3 | 0.6 | 0 | 1.4 | -0.2 |
| 2014 | -0.6 | -2.3 | 0.8 | -0.5 | -1.9 | 0.3 | 0.2 | -1.9 | -1.8 | -1.1 | 0.3 | -5.9 | -13.7 |
| 2015 | -1.3 | 2.1 | 4.1 | 0.9 | -3.1 | -2.5 | -0.8 | -7.1 | -1.8 | 1.1 | -0.7 | 1 | -8.4 |
| 2016 | -3.5 | 3.9 | -0.3 | 0.2 | -0.7 | 1.5 | -2.4 | 0.1 | 0 | 0.1 | 0.5 | 0.3 | -0.6 |
| 2017 | 1 | 2 | -1.7 | 0.4 | -0.7 | 1.6 | -0.4 | 1.3 | 1 | 0.9 | -1 | 0.1 | 4.6 |
| 2018 | 0.2 | 0 | 2.7 | -0.7 | 1.4 | 1.9 | -1 | 1.6 | 1.5 | 1.6 | -2 | 0 | 7.3 |
| 2019 | -0.5 | 0.1 | 2.1 | -1.1 | -0.3 | 1.1 | -2.3 | 0.7 | -0.6 | 2.8 | -1 | 0.5 | 1.4 |
| 2020 | -2.5 | -4.5 | -1.7 | -3.3 | 3 | 0.8 | -0.5 | 0.6 | -0.3 | -1.6 | 2.7 | 0 | -7.5 |
| 2021 | 1.3 | 2.4 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-04-30 38.8 SPY 148. -0.0083 0.0016 0.0445 0.0439 0.132 0.297 0.381 GLD 67.1 -0.007 -0.0171
2 2007-05-01 39.2 SPY 149. 0.0026 0.0037 0.047 0.0412 0.131 0.318 0.391 GLD 66.7 -0.006 -0.0154
3 2007-05-02 39.1 SPY 150. 0.0059 0.0004 0.0519 0.0403 0.147 0.337 0.386 GLD 66.7 -0.0004 -0.0181
4 2007-05-03 39.4 SPY 150. 0.0054 0.0047 0.0463 0.0397 0.144 0.355 0.377 GLD 67.5 0.0125 0.00930
5 2007-05-04 39.3 SPY 151. 0.0038 0.00930 0.0491 0.0422 0.153 0.346 0.388 GLD 68.2 0.0104 0.00930
6 2007-05-07 39.6 SPY 151. 0.0002 0.0179 0.0465 0.0421 0.149 0.347 0.403 GLD 68.2 0.0009 0.0173
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
